I suppose the word "threat" might be a bit strong, but if you think in terms of creeping loss of market share, that's easier to define. Check out the statistics below regarding browser market share that is compiled by one of my favourite sites for this kind of data:
http://www.w3schools.com/browsers/browsers_stats.asp
Browser Statistics Month by Month
2004 IE 6 IE 5 O 7 Moz NN 3 NN 4 NN 7
November 68.5% 5.0% 2.2% 19.3% 0.2% 0.2% 1.2%
October 69.5% 5.7% 2.2% 17.5% 0.2% 0.2% 1.3%
September 69.6% 6.2% 2.3% 16.9% 0.2% 0.2% 1.3%
August 70.3% 7.0% 2.3% 15.5% 0.3% 0.3% 1.4%
Please note the O 7 is opera. NN is Netscrape (talk about shrinking share!) and Moz is Mozilla/Firefox.
Sorry about the formatting, it's the best I could do in the simple editor for posting. Of note is that Moz increased by almost 2% just in November, the month that FF 1.0 was officially released, and it is still increasing if you look at number of downloads occurring.
I think that Micro$oft is lilkely looking down the barrel of a gun, they're just not sure if it's loaded. But with Linux also gaining ground on the desktop (now approaching 4% of all deaktops, and no IE for Linux (EVER!), M$ could find this shrinking market share compelling.
Just my $.02 worth.
Pierre